Hostname: page-component-7c8c6479df-hgkh8 Total loading time: 0 Render date: 2024-03-28T01:46:38.529Z Has data issue: false hasContentIssue false

HAAVELMO’S CONTRIBUTIONS TO SIMULTANEOUS-EQUATIONS ESTIMATION

Published online by Cambridge University Press:  31 July 2014

John S. Chipman*
Affiliation:
University of Minnesota
*
*Address correspondence to John S. Chipman, University of Minnesota, Minneapolis, MN 55455; e-mail: jchipman@umn.edu.

Abstract

This paper surveys Trygve Haavelmo’s contributions to econometrics. A brief summary of his 1944 monograph is followed by an analysis of the six important papers he contributed during 1943–47. Four of them were devoted to macroeconomic models including estimation of the Keynesian marginal propensity to consume; the first two introduced the methodology of a system of structural equations; the third marked a milestone in econometric method by deriving the reduced form of such a system; and the fourth analyzed the contrast between time-series and cross-section analysis. The fifth (joint with M.A. Girshick) on the demand for food provided a definitive treatment of estimation of demand and supply functions; it carried out the execution of a five-equation structural model of the U.S. economy. The sixth was an interesting policy model of the interrelationship between the agricultural and the rural sector of the economy, which was fitted to U.S. data and addressed to questions of policy.

Type
ARTICLES
Copyright
Copyright © Cambridge University Press 2014 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Aldrich, J. (1989) Autonomy. Oxford Economic Papers, New Series 41(January), 1534. Consolidated references, 259–282.Google Scholar
Anderson, T.W. (1950) Estimation of the parameters of a single equation by the limited-information maximum-likelihood method. In Koopmans, T.C. (ed.), Statistical Inference in Dynamic Economic Models, pp. 311322. Cowles Commission Monograph 10. John Wiley & Sons, Inc.Google Scholar
Anderson, T.W. (1991) Trygve Haavelmo and simultaneous equation models. Scandinavian Journal of Statistics 18(January), 119.Google Scholar
Anderson, T.W. (2010) The LIML estimator has finite moments! Journal of Econometrics 157(August), 359361.Google Scholar
Anderson, T.W. (2012) My Reminiscences of Trygve Haavelmo at the Cowles Commission. October 12, 2012.Google Scholar
Anderson, T.W. & Rubin, H. (1949) Estimation of the parameters of a single equation in a complete system of stochastic equations. The Annals of Mathematical Statistics 20(March), 4663.Google Scholar
Basmann, R.L. (1957) A generalized classical method of linear estimation of coefficients in a structural equation. Econometrica 25(January), 7783.Google Scholar
Basmann, R.L. (1960) On the asymptotic distribution of generalized linear estimators. Econometrica 28(January), 97107.Google Scholar
Basmann, R.L. (1961) A note on the exact finite sample frequency functions of generalized classical linear estimators in two leading overidentified cases. Journal of the American Statistical Association 56(September), 619636.Google Scholar
Basmann, R.L. (1974) Exact finite sample distributions for some econometric estimators and test statistics: A survey and appraisal. In Intriligator, M.D. & Kendrick, D.A. (eds.), Frontiers of Quantitative Economics, vol. II, pp. 209288. North-Holland Publishing Company.Google Scholar
Bergstrom, A.R. (1962) The exact sampling distribution of least squares and maximum likelihood estimators of the marginal propensity to consume. Econometrica 30(July), 480490.Google Scholar
Bjerkholt, O. (2005) Frisch’s econometric laboratory and the rise of Trygve Haavelmo’s Probability Approach. Econometric Theory 21(June), 491533.Google Scholar
Bjerkholt, O. (2007) Writing ‘The Probability Approach’ with nowhere to go: Haavelmo in the United States, 1939–1944. Econometric Theory 23(October), 775837.CrossRefGoogle Scholar
Chipman, J.S. (1993) Acceleration principle. In McGraw-Hill Encyclopedia of Economics, 2nd ed., pp. 15. McGraw-Hill Inc.Google Scholar
Chipman, J.S. (2011) Advanced Econometric Theory, xiv, 393 pp. Routledge.Google Scholar
David, F.N. & Neyman, J. (1938) Extension of the Markoff theorem on least squares. In Neyman, J. & Pearson, E.S. (eds.), Statistical Research Memoirs, pp. 105116. Department of Statistics, University College.Google Scholar
Edgeworth, F.Y. (1894) Demand curves. In Inglis Palgrave, R.H. (ed.), Dictionary of Political Economy, vol. I, pp. 542544. Macmillan and Co.Google Scholar
Forchini, G. (2006) On the bimodality of the exact distribution of the TSLS estimator. Econometric Theory 22, 932946.CrossRefGoogle Scholar
Frisch, R. (1931) The interrelation between capital production and consumer-taking. Journal of Political Economy 39(October), 646654.Google Scholar
Frisch, R. (1933) Pitfalls in the Statistical Construction of Demand and Supply Curves, 39 pp. Hans Buske Verlag.Google Scholar
Frisch, R. (1934) Statistical Confluence Analysis by Means of Complete Regression Systems, 192 pp. Universitetets Œkonomiske Institutt.Google Scholar
Frisch, R. (1948) Repercussion studies at Oslo. American Economic Review 38(June), 357372.Google Scholar
Frisch, R. & Haavelmo, T. (1938) Efterspørselen efter melk i Norge (The demand for milk in Norway). Staatsøkonomisk tidsskrift 52, 162.Google Scholar
Girshick, M.A. & Haavelmo, T. (1947) Statistical analysis of the demand for food: Examples of simultaneous estimation of structural equations. Econometrica 15(April), 79110. Revised and abridged version published in Hood, W.C. & T.C. Koopmans (eds.) (1953) Studies in Econometric Method, 92–111. Cowles Commission Monograph 14. John Wiley & Sons, Inc. Reprinted, Yale University Press, 1970.Google Scholar
Haavelmo, T. (1938) The method of supplementary confluent relations, illustrated by a study of stock prices. Econometrica 6(July), 203218.Google Scholar
Haavelmo, T. (1943a) The statistical implications of a system of simultaneous equations. Econometrica 11(January), 112.Google Scholar
Haavelmo, T. (1943b) Statistical testing of business-cycle theories. Review of Economic Statistics 25(February), 1318.Google Scholar
Haavelmo, T. (1944) The probability approach in econometrics. Econometrica 12, Special Supplement(July), 1118.Google Scholar
Haavelmo, T. (1947a) Methods of measuring the marginal propensity to consume. Journal of the American Statistical Association 42(March), 105122. Reprinted in Hood, W.C. & T.C. Koopmans (eds.) (1953) Studies in Econometric Method, pp. 75–91. Cowles Commission Monograph 14. John Wiley & Sons, Inc. Reprinted, Yale University Press, 1970.Google Scholar
Haavelmo, T. (1947b) Family expenditures and the marginal propensity to consume. Econometrica 15(October), 335341.CrossRefGoogle Scholar
Haavelmo, T. (1947c) Quantitative research in agricultural economics: The interdependence between agriculture and the national product. Journal of Farm Economics 29(4 Part 1), 910924.Google Scholar
Haavelmo, T. (1950) Remarks on Frisch’s confluence analysis and its use in econometrics. In Koopmans, T.C. (ed.), Statistical Inference in Dynamic Economic Models, xvi, pp. 258265. Cowles Commission Monograph 10. John Wiley & Sons, Inc.Google Scholar
Hansen, A.H. (1941) Fiscal Policy and Business Cycles, 462 pp. W.W. Norton & Company, Inc.Google Scholar
Hansen, B. (1955) Report of the Uppsala meeting, August 2–4, 1954. Econometrica 23(April), 198–216.Google Scholar
Hillier, G. (2006) Yet more on the exact properties of IV estimators. Econometric Theory 22, 913931.Google Scholar
Klein, L.R. (1953) A Textbook of Econometrics. Row, Peterson and Company. 2nd ed., Prentice-Hall, Inc., 1974.Google Scholar
Koopmans, T.C. (1937) Linear Regression of Economic Time Series. De Erven F. Bohn N.V. XI, [1], 150, [2] pp.Google Scholar
Koopmans, T.C., Rubin, H., & Leipnik, R.B. (1950) Measuring the equation systems of dynamic economics. In Koopmans, T.C. (ed.), Statistical Inference in Dynamic Economic Models, pp. 53237. Cowles Commission Monograph 10. John Wiley & Sons, Inc.Google Scholar
Mann, H.B. & Wald, A. (1943) On the statistical treatment of linear stochastic difference equations. Econometrica 11(July–October), 173220.CrossRefGoogle Scholar
Mariano, R.S. & Sawa, T. (1972) The exact distribution of the limited-information maximum-likelihood estimator in the case of two included endogenous variables. Journal of the American Statistical Association 67(March), 159163.Google Scholar
Marschak, J. (1942) Economic interdependence and statistical analysis. In Lange, O., McIntyre, F., & Yntema, T.O. (eds.), Studies in Mathematical Economics and Econometrics. In Memory of Henry Schultz, pp. 135150. The University of Chicago Press.Google Scholar
Marschak, J. (1950) Statistical inference in economics: An introduction. In Koopmans, T.C. (ed.), Statistical Inference in Dynamic Economic Models, pp. 150. Cowles Commission Monograph 10. John Wiley & Sons, Inc.Google Scholar
Marschak, J. (1953) Economic measurement for policy and prediction. In Hood, W.C. & Koopmans, T.C. (eds.), Studies in Econometric Method, pp. 126. Cowles Commission Monograph 14. John Wiley & Sons, Inc. Reprinted, Yale University Press, 1970.Google Scholar
Marschak, J. & Andrews, W.H. Jr. (1944) Random simultaneous equations and the theory of production. Econometrica 12(July–October), 143205.Google Scholar
Moore, H.L. (1917) Forecasting the Yield and the Price of Cotton. The Macmillan Company. vi, [2], 173 pp.Google Scholar
Moore, H.L. (1919) Empirical laws of demand and supply and the flexibility of prices. Political Science Quarterly 34(December), 546567.CrossRefGoogle Scholar
Moore, H.L. (1925) A moving equilibrium of demand and supply. Quarterly Journal of Economics 39(May), 357371.Google Scholar
Moore, H.L. (1929) Synthetic Economics. The Macmillan Company. vii, [3], 186 pp.Google Scholar
Mosak, J.L. (1945) Forecasting postwar demand: III. Econometrica 13(January), 2553.Google Scholar
Neyman, J. & Pearson, E.S. (1936, 1938) Statistical Research Memoirs. Department of Statistics, University College.Google Scholar
Phillips, P.C.B. (1985) The exact distribution of LIML: II. International Economic Review 26(February), 2136.CrossRefGoogle Scholar
Phillips, P.C.B. (2006) A remark on bimodality and weak instrumentation in structural equation estimation. Econometric Theory 22, 947960.Google Scholar
Phillips, P.C.B. (2009) Exact distribution theory in structural estimation with an identity. Econometric Theory 25, 958984.Google Scholar
Samuelson, P.A. (1939) Interactions between the multiplier analysis and the principle of acceleration. The Review of Economic Statistics 21(May), 7578.CrossRefGoogle Scholar
Samuelson, P.A. (1941) Appendix: a statistical analysis of the consumption function. In Hansen, A.H. (ed.), Fiscal Policy and Business Cycles, pp. 250260. W.W. Norton & Company, Inc.Google Scholar
Samuelson, P.A. (1943) Full employment after the war. In Harris, S.E. (ed.), Postwar Economic Problems, pp. 2753. McGraw-Hill Book Company, Inc.Google Scholar
Schultz, H. (1938) The Theory and Measurement of Demand. The University of Chicago Press. xxviii, [4], 817 pp.Google Scholar
Schumpeter, J.A. (1964) History of Economic Analysis, xxv, 1260 pp. Oxford University Press.Google Scholar
Smithies, A. (1945) Forecasting postwar demand: I. Econometrica 13(January), 114.Google Scholar
Tobin, J. (1950) A statistical demand for food in the U.S.A. Journal of the Royal Statistical Society [A] 113, 113149.Google Scholar
Waite, W.C. & Cox, R.W. (1934) A Study of the Consumption of Dairy Products in Minneapolis, 1934, pp. 128. University of Minnesota Agricultural Experiment Station, Division of Agricultural Economics, University Farm, St. Paul.Google Scholar
Wilks, S.S. (1947) Mathematical Statistics, xii, 284 pp. Princeton University Press.Google Scholar
Wold, H., in association with L. Juréen (1953) Demand Analysis. A Study in Econometrics, XVI, 358 pp. John Wiley & Sons, Inc./Alm-qvist & Wiksell.Google Scholar
Working, E.J. (1927) What do statistical demand curves show? Quarterly Journal of Economics 41(February), 212235.Google Scholar
Working, H. (1922) Factors determining the price of potatoes in St. Paul and Minneapolis. The University of Minnesota Agricultural Experiment Station, Technical Bulletin 10(October), 141.Google Scholar
Working, H. (1925) The statistical determination of demand curves. Quarterly Journal of Economics 39(August), 503543.Google Scholar